Soccer Clubs Arbitrage

This strategy compares completed candle closes for two related instruments. It calculates the relative premium as primary / second - 1 and trades both legs when the absolute premium exceeds the entry threshold.

If the primary instrument is more expensive, the strategy sells it and buys the second instrument with the same unit volume. If the second instrument is more expensive, the directions are reversed. Both positions are closed when the absolute premium falls below the exit threshold.

Details

• Data: Completed candles for the primary security and Security2Id; the default timeframe is five minutes.
• Entry: Open equal-unit, opposite market orders when the premium exceeds EntryThreshold in either direction.
• Exit: Flatten the actual position of each leg when the absolute premium is below ExitThreshold.
• Cooldown: Wait CooldownBars paired candle updates after an entry, exit, or reversal before acting again.
• Execution risk: The two market orders are submitted separately and are not atomic. Equal units also do not guarantee equal notionals, so legging, liquidity, and contract-size risk remain.